This study evaluated the predictive role of depressed outpatients' (N = 62) affective reactivity to daily stressors in their rates of improvement in cognitive therapy (CT). For 1 week before treatment, patients completed nightly electronic diaries that assessed daily stressors and negative affect (NA). The authors used multilevel modeling to compute each patient's within-day relationship between daily stressors and daily NA (within-day reactivity), as well as the relationship between daily stressors and next-day NA (next-day reactivity; affective spillover). In growth model analyses, the authors evaluated the predictive role of patients' NA reactivity in their early (Sessions 1-4) and late (Sessions 5-12) response to CT. Within-day NA reactivity did not predict early or late response to CT. However, next-day reactivity predicted early response to CT, such that patients who had greater NA spillover in response to negative events had a slower rate of symptom change during the first 4 sessions. Affective spillover did not influence later response to CT. The findings suggest that depressed patients who have difficulty bouncing back the next day from their NA reactions to a relative increase in daily negative events will respond less quickly to the early sessions of CT.